Is the 4 train a place of mystery and danger? It feels that way when you are slinking around a subway car, whispering code words in an anxious attempt to locate a shadowy Manitoban. When you have fled kidnappers, buskers and more than one sinister cabal, there is much more to stand clear of than just the closing doors.

This subterranean adventure was a mere sliver of the gloriously inventive and appallingly fun “Empire Travel Agency,” Woodshed Collective’s theatrical scavenger hunt by way of Paul Auster, Alan Moore and Dan Brown. (Probably too much Dan Brown.) Woodshed Collective has created ambitious site-specific theater before (“Twelve Ophelias,” “The Confidence Man,” “The Tenant”), but this is easily its most ambitious and fully realized work.

After meeting your three fellow voyagers at an unprepossessing corner of the financial district in Manhattan, a travel agent (the first of many) will speed you onward. You will spend the next two and a half hours racing from one location to the next, often at a jog, sometimes in a moving vehicle. Your quest: to prevent a substance known as Ambros from leaving New York. Ambrose is the name of a lightship at the South Street Seaport, and the appellation of a nearby bar, but here it seems to refer to a strange drug, a sort of PCP with prophetic overtones.

Whether we owe it to Ambros or not, New York doesn’t lack for interactive, site-specific theater. There are luxe haunted houses like “Sleep No More” and “Then She Fell.” There are performances in nightclubs, walk-up apartments and the back seats of decommissioned taxicabs. There is a company that restages famous New York murder mysteries on the same streets where the killers and victims walked. I’ve even seen another piece, one of Molly Rice’s Saints Tours, that used a couple of the same locales as “Empire Travel Agency.”

But what this play does, perhaps better than any piece since Deborah Warner’s “Angel Project,” is use the city itself as a set. Sure, the show included plenty of spaces that had been wittily and efficiently transformed, but the ordinary places, like that subway car, were often the most extraordinary, newly freighted with peril and possibility. Even bits of the neighborhood not explicitly included in the adventure seemed rich and strange, like a narrow alley with Alexander Hamilton’s grave on one side and a discount shoe store on the other. “Empire Travel Agency” also has a lovely way, at least in my limited experience, of transforming four relative strangers into a unified, if occasionally klutzy, corps, complete with exhortations and taunts and in-jokes. (Ben, Eric, Diego: We’ll always have Ordo. And thanks for the MetroCard swipe.)

I won’t describe the show too specifically, partly because it’s a lot more fun to embark ignorant of its particulars and partly because I’d so strongly bought into the experience that early on I relinquished my shoulder bag in order to perpetrate some larceny unencumbered. My notes are not as complete as they might be.

It won’t spoil anything to laud the director, Teddy Bergman, who keeps the pacing wonderfully breakneck, at least until the mildly effortful ending. And the vast cast deserves commendation, too. Many of the performers are highly skilled improvisers, able to respond to questions and concerns (would I ever see my purse again?) in character. Admittedly, a couple of them had trouble acting and driving at the same time. Or maybe their characters were bad drivers. What commitment! At any rate, buckle up.

The text, by Jason Gray Platt, is sometimes terrific and sometimes silly and probably leans too heavily on competing conspiracy theories. Goodness knows what sorts of conspiracies the Woodshed Collective has entered into to secure all of these locations and to provide this entertainment free of charge. Unfortunately, only 12 people can attend each evening’s performance — four at each of three departure times — and all tickets were reserved long before opening night. But don’t abandon hope: There is a waiting list on the group’s Facebook page and a possibility of added dates.

This trip, says one travel agent, is “a journey through the mysteries of the city to help you find more.”